Showing 1 - 10 of 21
This study uses bivariate extremal dependence measures, based on the number of equity return co-exceedances in two markets, to quantify both negative and positive equity returns contagion in mature and emerging equity markets during the past decade. The results indicate (a) higher contagion for...
Persistent link: https://www.econbiz.de/10012735588
Contagion can be defined as the probability of observing large return realizations simultaneously across different financial markets (co-exceedances) rather than as increases in correlations. We introduce global extreme contagion measures constructed from bivariate extremal dependence measures....
Persistent link: https://www.econbiz.de/10012784819
This paper develops a new macrofinance model for small open economies, allowing the investigation of Mauritius`s experience with 'inflation targeting lite' as described in Stone (2003). It finds that this monetary policy regime has been associated with a general reduction in inflation,...
Persistent link: https://www.econbiz.de/10012780743
This paper examines the tendency towards income convergence among China's main provinces during the two periods: the pre-reform period 1953-1977 and the reform period 1978-1997 using the framework of the Solow growth model. The panel data method accounts for not only province-specific initial...
Persistent link: https://www.econbiz.de/10009279871
Persistent link: https://www.econbiz.de/10005411717
This paper studies the transmission of monetary shocks to lending rates in a large sample of advanced, emerging, and low-income countries. Transmission is measured by the impulse response of bank lending rates to monetary policy shocks. Long-run restrictions are used to identify such shocks....
Persistent link: https://www.econbiz.de/10011078006
This paper studies the transmission of monetary shocks to lending rates in a large sample of advanced, emerging, and low-income countries. Transmission is measured by the impulse response of bank lending rates to monetary policy shocks. Long-run restrictions are used to identify such shocks....
Persistent link: https://www.econbiz.de/10011083597
Persistent link: https://www.econbiz.de/10006377359
Persistent link: https://www.econbiz.de/10006457799
Asymptotic distributions and critical values are computed for several residual-based tests of the null of no cointegration in panels for the case of multiple regressors, including regressions with individual-specific fixed effects and time trends. The associated cointegrating vectors and the...
Persistent link: https://www.econbiz.de/10005682172